I suppose because of their low self-esteem, children with ADHD tend to suffer more from depression than those kids without ADHD.
Being an ADHD kid myself (long, long, long time ago) I agree, I know that I suffered more from depression then any of my friends. My mom always asked me if I am depressed I told her no, I told her I was just thinking. I was ashamed to admit that I was depressed, I don't know why.
Wearable sensor can detect hidden anxiety, depression in young children. Anxiety and depression in young children are hard to detect and often go untreated, potentially leading to anxiety disorders and increased risk of suicide and drug abuse later. In a new study, researchers showed a wearable sensor detected these 'internalizing disorders' in children with 81 percent accuracy, reducing to 20 seconds what would take clinicians months to diagnose, opening the door to inexpensive screening that could be part of routine developmental assessments. Source 6c.
Also, some people with ADHD may be "Predisposed" to depression. ADHD involves differences in brain chemistry, which may make you more likely to feel depressed. ADHD also often coexists with anxiety and substance abuse. Both can increase the risk of depression.